Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems

Ji Shaolin; Liu Haodong

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Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems

机译：Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems

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摘要

This article studies the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS Delta Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than white noises. Two distinct forms of FBS Delta Ss are investigated. The first one is described by a partially coupled forward-backward stochastic difference equation (FBS Delta E) and the second one is described by a fully coupled FBS Delta E. We deduce the adjoint difference equation by adopting an appropriate representation of the product rule and a proper formulation of the backward stochastic difference equation (BS Delta E). Finally, the maximum principle for this optimal control problem with the convex control domain is established.

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来源
《Optimal Control Applications and Methods》 |2022年第4期|1076-1095|共20页
作者
Ji Shaolin; Liu Haodong;
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作者单位

Shandong Univ;

Ocean Univ China;

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原文格式 PDF
正文语种英语
中图分类应用数学;
关键词
backward stochastic difference equations; forward-backward stochastic difference equations; maximum principle; monotone condition; stochastic optimal control; DISCRETE-TIME; EQUATIONS;

Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems

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